Here's a link which may work for you, in case you haven't come across it, but the site only shows 4 possibilities for the whole of Dorset.
http://www.flyfishingvenues.co.uk/default.asp
I fished Amherst Lodge last year (I had taken up fly fishing just 2 weeks before the visit), and it is a beautiful spot with 3 or 4 small pools. I can't really comment on the fishing as I didn't have a clue what I was doing, but the fish were easily visible. However, this venue is the other side of Dorset to Swanage.
If you find any other venues, would be good to know as I am an infrequent visitor to that beautiful county.
Cheers.